Category: Market Action

Market Action

January 12, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4900 % 2,179.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4900 % 4,181.0
Floater 11.17 % 11.35 % 51,639 8.57 2 0.4900 % 2,409.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1569 % 3,396.8
SplitShare 4.96 % 7.49 % 47,536 1.99 7 -0.1569 % 4,056.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1569 % 3,165.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5964 % 2,673.5
Perpetual-Discount 6.42 % 6.52 % 54,338 13.20 34 0.5964 % 2,915.3
FixedReset Disc 5.71 % 7.47 % 110,952 12.26 59 0.1725 % 2,297.3
Insurance Straight 6.33 % 6.46 % 71,180 13.26 20 0.8450 % 2,862.2
FloatingReset 10.50 % 10.85 % 35,301 8.91 5 1.1365 % 2,583.1
FixedReset Prem 5.90 % 6.47 % 150,482 3.37 2 0.4995 % 2,524.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1725 % 2,348.3
FixedReset Ins Non 5.51 % 7.02 % 90,566 12.65 14 0.3418 % 2,578.3
Performance Highlights
Issue Index Change Notes
BN.PF.H FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 8.52 %
FFH.PR.K FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.35 %
TD.PF.D FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 7.48 %
BN.PF.I FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.53 %
PVS.PR.K SplitShare -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.08 %
IFC.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 6.88 %
RY.PR.M FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 7.53 %
SLF.PR.D Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.98 %
BMO.PR.Y FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.53 %
BIP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.43
Evaluated at bid price : 22.75
Bid-YTW : 8.34 %
BIK.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 8.16 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.31 %
PWF.PR.Z Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.55 %
PWF.PF.A Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.41 %
TD.PF.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.27 %
PWF.PR.G Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.48 %
BN.PR.Z FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.33 %
BMO.PR.T FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.28 %
MIC.PR.A Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.32 %
CU.PR.C FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 7.32 %
FTS.PR.I FloatingReset 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 10.90 %
PWF.PR.T FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.08 %
CIU.PR.A Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.59 %
MFC.PR.F FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
MFC.PR.C Insurance Straight 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.10 %
POW.PR.C Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.34 %
SLF.PR.J FloatingReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 10.59 %
TD.PF.E FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.44 %
SLF.PR.E Insurance Straight 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.01 %
FFH.PR.F FloatingReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 10.85 %
CCS.PR.C Insurance Straight 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.58 %
IFC.PR.I Insurance Straight 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.33 %
RY.PR.N Perpetual-Discount 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.58
Evaluated at bid price : 22.87
Bid-YTW : 5.42 %
SLF.PR.C Insurance Straight 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.98 %
GWO.PR.N FixedReset Ins Non 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 7.52 %
NA.PR.W FixedReset Disc 5.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 273,047 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 6.88 %
BMO.PR.T FixedReset Disc 102,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.28 %
GWO.PR.G Insurance Straight 50,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.56 %
RY.PR.H FixedReset Disc 43,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.35 %
GWO.PR.H Insurance Straight 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.49 %
MFC.PR.F FixedReset Ins Non 32,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 14.56 – 19.38
Spot Rate : 4.8200
Average : 3.8585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
CU.PR.D Perpetual-Discount Quote: 19.67 – 20.95
Spot Rate : 1.2800
Average : 0.7969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 6.33 %
CU.PR.I FixedReset Disc Quote: 21.75 – 23.75
Spot Rate : 2.0000
Average : 1.5606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.78 %
MFC.PR.M FixedReset Ins Non Quote: 18.96 – 19.96
Spot Rate : 1.0000
Average : 0.6056

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.43 %
IFC.PR.F Insurance Straight Quote: 18.96 – 20.75
Spot Rate : 1.7900
Average : 1.5481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
BIK.PR.A FixedReset Disc Quote: 22.50 – 23.15
Spot Rate : 0.6500
Average : 0.4756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 8.16 %
Market Action

January 11, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4025 % 2,169.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4025 % 4,160.6
Floater 11.22 % 11.38 % 53,463 8.56 2 0.4025 % 2,397.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2541 % 3,402.2
SplitShare 4.95 % 7.65 % 49,389 1.99 7 0.2541 % 4,062.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2541 % 3,170.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1025 % 2,657.6
Perpetual-Discount 6.46 % 6.56 % 56,218 13.15 34 -0.1025 % 2,898.0
FixedReset Disc 5.72 % 7.49 % 113,214 12.21 59 -0.0333 % 2,293.3
Insurance Straight 6.38 % 6.50 % 74,022 13.22 20 -0.8606 % 2,838.2
FloatingReset 10.52 % 10.89 % 35,699 8.89 5 -1.0557 % 2,554.0
FixedReset Prem 5.93 % 6.73 % 150,491 12.73 2 -0.3584 % 2,511.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0333 % 2,344.2
FixedReset Ins Non 5.53 % 7.06 % 88,684 12.68 14 0.0902 % 2,569.6
Performance Highlights
Issue Index Change Notes
IFC.PR.F Insurance Straight -6.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
CU.PR.I FixedReset Disc -4.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.80 %
SLF.PR.J FloatingReset -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 10.69 %
SLF.PR.C Insurance Straight -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.15 %
PWF.PR.G Perpetual-Discount -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.21
Evaluated at bid price : 22.48
Bid-YTW : 6.57 %
BN.PR.R FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 9.12 %
BN.PR.Z FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 8.48 %
POW.PR.C Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.46 %
MFC.PR.F FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
MFC.PR.C Insurance Straight -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.22 %
GWO.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 7.81 %
BN.PR.M Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 6.83 %
BN.PF.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 9.16 %
SLF.PR.E Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.14 %
SLF.PR.H FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.93 %
CU.PR.J Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.53 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 7.39 %
BMO.PR.T FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.42 %
FFH.PR.F FloatingReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 11.00 %
FTS.PR.J Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.34 %
FTS.PR.I FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 10.97 %
SLF.PR.D Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.04 %
FFH.PR.K FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.23 %
RY.PR.N Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
IFC.PR.E Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.42 %
FFH.PR.I FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.57 %
PVS.PR.J SplitShare 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.29 %
BN.PF.I FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.42 %
MFC.PR.J FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.24
Evaluated at bid price : 22.85
Bid-YTW : 6.62 %
RY.PR.O Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
TD.PF.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.61 %
BN.PF.H FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 8.37 %
IFC.PR.G FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.61
Evaluated at bid price : 21.93
Bid-YTW : 6.80 %
BMO.PR.W FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.55 %
BN.PR.X FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.F FixedReset Ins Non 57,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
BMO.PR.S FixedReset Disc 51,762 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.13 %
SLF.PR.H FixedReset Ins Non 29,118 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.93 %
IFC.PR.C FixedReset Ins Non 25,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 7.44 %
TD.PF.E FixedReset Disc 25,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.61 %
BNS.PR.I FixedReset Prem 18,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.13 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 14.30 – 19.38
Spot Rate : 5.0800
Average : 2.8043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
BN.PF.E FixedReset Disc Quote: 15.68 – 19.49
Spot Rate : 3.8100
Average : 2.6170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 9.16 %
IFC.PR.F Insurance Straight Quote: 18.96 – 20.86
Spot Rate : 1.9000
Average : 1.2829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
SLF.PR.J FloatingReset Quote: 15.50 – 16.60
Spot Rate : 1.1000
Average : 0.6594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 10.69 %
GWO.PR.S Insurance Straight Quote: 20.45 – 21.48
Spot Rate : 1.0300
Average : 0.5987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.48 %
BN.PR.X FixedReset Disc Quote: 15.25 – 16.30
Spot Rate : 1.0500
Average : 0.7067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.30 %
Market Action

January 10, 2024

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.99% on 2024-1-5 and since then the closing price has changed from 15.23 to 15.18, a decline of 33bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.38 implying an increase of 3bp in yield to 5.02%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply (for the second successive week) to 350bp from the 374bp reported January 3.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.7207 % 2,160.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7207 % 4,144.0
Floater 11.27 % 11.44 % 51,923 8.52 2 0.7207 % 2,388.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0846 % 3,393.5
SplitShare 4.96 % 7.65 % 49,893 1.99 7 -0.0846 % 4,052.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0846 % 3,162.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3669 % 2,660.4
Perpetual-Discount 6.46 % 6.56 % 53,697 13.19 34 0.3669 % 2,901.0
FixedReset Disc 5.72 % 7.54 % 115,591 12.21 59 0.1205 % 2,294.1
Insurance Straight 6.33 % 6.48 % 74,808 13.24 20 -0.0102 % 2,862.8
FloatingReset 10.41 % 10.84 % 36,957 8.91 5 0.9148 % 2,581.3
FixedReset Prem 5.91 % 6.53 % 151,163 3.38 2 0.1595 % 2,520.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1205 % 2,345.0
FixedReset Ins Non 5.54 % 7.10 % 91,467 12.63 14 -0.0188 % 2,567.2
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.72 %
BN.PR.X FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 8.59 %
NA.PR.W FixedReset Disc -3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.87 %
PWF.PR.P FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 8.20 %
CCS.PR.C Insurance Straight -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.75 %
BN.PF.F FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.90 %
CIU.PR.A Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.72 %
MFC.PR.L FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.33 %
IFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 7.75 %
FFH.PR.D FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 10.21 %
CU.PR.J Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 6.44 %
TD.PF.D FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.34 %
CM.PR.O FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.35 %
GWO.PR.N FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 7.67 %
BN.PR.M Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.72 %
BN.PF.J FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.95 %
BN.PF.I FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.54 %
BN.PF.E FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 9.03 %
BN.PF.B FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.40 %
SLF.PR.J FloatingReset 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 10.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.L FixedReset Disc 106,491 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 23.77
Evaluated at bid price : 24.60
Bid-YTW : 6.69 %
GWO.PR.G Insurance Straight 88,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.50 %
BMO.PR.S FixedReset Disc 55,558 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 7.13 %
BN.PR.Z FixedReset Disc 54,572 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.30 %
IFC.PR.C FixedReset Ins Non 49,246 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.46 %
RY.PR.Z FixedReset Disc 35,335 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.02 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 21.50 – 23.50
Spot Rate : 2.0000
Average : 1.2876

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
TD.PF.J FixedReset Disc Quote: 22.10 – 23.72
Spot Rate : 1.6200
Average : 0.9568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.74
Evaluated at bid price : 22.10
Bid-YTW : 6.74 %
SLF.PR.H FixedReset Ins Non Quote: 18.64 – 20.00
Spot Rate : 1.3600
Average : 0.8966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.84 %
IFC.PR.C FixedReset Ins Non Quote: 18.70 – 19.70
Spot Rate : 1.0000
Average : 0.6253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.46 %
TD.PF.B FixedReset Disc Quote: 20.20 – 21.10
Spot Rate : 0.9000
Average : 0.6222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.91 %
BN.PF.I FixedReset Disc Quote: 20.02 – 20.90
Spot Rate : 0.8800
Average : 0.6250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.54 %
Market Action

January 9, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4525 % 2,145.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4525 % 4,114.3
Floater 11.35 % 11.55 % 45,203 8.45 2 0.4525 % 2,371.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,396.4
SplitShare 4.96 % 7.65 % 51,743 1.99 7 0.0000 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0507 % 2,650.6
Perpetual-Discount 6.48 % 6.58 % 54,408 13.14 34 0.0507 % 2,890.4
FixedReset Disc 5.73 % 7.50 % 116,234 12.19 59 0.0539 % 2,291.3
Insurance Straight 6.33 % 6.49 % 75,731 13.22 20 0.4565 % 2,863.1
FloatingReset 10.50 % 10.75 % 36,084 8.94 5 0.2089 % 2,557.9
FixedReset Prem 5.92 % 6.62 % 150,556 3.38 2 -0.1791 % 2,516.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0539 % 2,342.2
FixedReset Ins Non 5.53 % 7.09 % 92,714 12.62 14 0.2941 % 2,567.7
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.73 %
FTS.PR.G FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.96 %
PVS.PR.H SplitShare -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.67 %
TD.PF.E FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 7.48 %
BN.PF.I FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.69 %
FFH.PR.F FloatingReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 10.86 %
CM.PR.O FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 7.44 %
PWF.PF.A Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 6.50 %
TD.PF.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.94 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.50 %
FTS.PR.M FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 8.12 %
BN.PR.N Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 6.84 %
SLF.PR.D Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 5.98 %
MIC.PR.A Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 7.39 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.77 %
MFC.PR.F FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 7.54 %
CU.PR.H Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.41 %
PWF.PR.Z Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.61 %
PWF.PR.P FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 7.97 %
TD.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.05 %
BN.PR.X FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 8.32 %
ELF.PR.H Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.58 %
MFC.PR.N FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 7.55 %
CU.PR.E Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.38 %
IFC.PR.A FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.09 %
BIP.PR.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.89 %
BN.PR.M Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.82 %
GWO.PR.P Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 6.55 %
RY.PR.M FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 7.48 %
FFH.PR.H FloatingReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 10.82 %
PVS.PR.K SplitShare 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.68 %
CU.PR.D Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.43 %
SLF.PR.H FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.85 %
CU.PR.C FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.50 %
SLF.PR.C Insurance Straight 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.99 %
SLF.PR.G FixedReset Ins Non 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 7.83 %
CU.PR.I FixedReset Disc 4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.42
Evaluated at bid price : 22.75
Bid-YTW : 7.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 165,742 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 7.97 %
EIT.PR.A SplitShare 111,351 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 7.65 %
BMO.PR.F FixedReset Disc 36,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 23.91
Evaluated at bid price : 24.65
Bid-YTW : 7.00 %
GWO.PR.N FixedReset Ins Non 35,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.77 %
MFC.PR.M FixedReset Ins Non 26,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.50 %
RY.PR.Z FixedReset Disc 23,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 7.01 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.F FixedReset Disc Quote: 17.80 – 24.00
Spot Rate : 6.2000
Average : 3.4459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.67 %
BN.PF.E FixedReset Disc Quote: 15.61 – 19.49
Spot Rate : 3.8800
Average : 2.3167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 9.20 %
BN.PF.H FixedReset Disc Quote: 21.15 – 22.60
Spot Rate : 1.4500
Average : 0.8488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 8.54 %
CU.PR.E Perpetual-Discount Quote: 19.50 – 20.85
Spot Rate : 1.3500
Average : 0.7994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.38 %
MFC.PR.L FixedReset Ins Non Quote: 19.09 – 20.50
Spot Rate : 1.4100
Average : 0.9930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 7.24 %
MFC.PR.J FixedReset Ins Non Quote: 22.51 – 23.55
Spot Rate : 1.0400
Average : 0.7170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.73 %
Market Action

January 8, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,095.8
Floater 11.40 % 11.60 % 45,464 8.43 2 0.0000 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,396.4
SplitShare 4.96 % 7.64 % 51,800 2.00 7 0.0000 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1390 % 2,649.3
Perpetual-Discount 6.48 % 6.64 % 55,172 13.03 34 0.1390 % 2,888.9
FixedReset Disc 5.73 % 7.60 % 117,428 12.15 59 0.6525 % 2,290.1
Insurance Straight 6.36 % 6.49 % 75,890 13.22 20 0.6752 % 2,850.1
FloatingReset 10.52 % 10.73 % 35,899 9.01 5 -0.2777 % 2,552.6
FixedReset Prem 5.91 % 6.50 % 152,783 3.38 2 0.4197 % 2,521.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6525 % 2,340.9
FixedReset Ins Non 5.55 % 7.18 % 85,664 12.59 14 0.5116 % 2,560.2
Performance Highlights
Issue Index Change Notes
FFH.PR.H FloatingReset -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 11.01 %
BN.PF.B FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 8.60 %
BN.PF.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.93 %
SLF.PR.C Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.14 %
BMO.PR.W FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.67 %
PWF.PR.S Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.65 %
SLF.PR.G FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 8.10 %
CU.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 7.66 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.60 %
GWO.PR.N FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 7.86 %
FFH.PR.F FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 10.73 %
MFC.PR.K FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 22.22
Evaluated at bid price : 22.88
Bid-YTW : 6.36 %
BN.PF.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 8.58 %
FFH.PR.D FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 10.34 %
SLF.PR.D Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.05 %
IFC.PR.E Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.51 %
SLF.PR.E Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.09 %
RY.PR.H FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.35 %
BIP.PR.B FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 8.55 %
TD.PF.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
MFC.PR.C Insurance Straight 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.12 %
BN.PR.R FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 9.03 %
BN.PR.X FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.43 %
BMO.PR.Y FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.57 %
PWF.PR.G Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 6.48 %
SLF.PR.H FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.98 %
FFH.PR.G FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 8.53 %
TD.PF.E FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.37 %
IFC.PR.F Insurance Straight 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.61 %
PWF.PR.P FixedReset Disc 5.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 8.07 %
NA.PR.W FixedReset Disc 5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 164,896 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 7.62 %
BMO.PR.Y FixedReset Disc 70,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.57 %
TD.PF.C FixedReset Disc 30,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
TD.PF.B FixedReset Disc 27,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.03 %
BNS.PR.I FixedReset Prem 26,052 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.42 %
PWF.PR.H Perpetual-Discount 25,053 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 21.63
Evaluated at bid price : 21.88
Bid-YTW : 6.71 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 18.10 – 24.50
Spot Rate : 6.4000
Average : 3.5360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.67 %
TD.PF.C FixedReset Disc Quote: 18.84 – 23.33
Spot Rate : 4.4900
Average : 2.4674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
CIU.PR.A Perpetual-Discount Quote: 17.50 – 20.00
Spot Rate : 2.5000
Average : 1.3442

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.68 %
TD.PF.B FixedReset Disc Quote: 20.11 – 21.10
Spot Rate : 0.9900
Average : 0.6110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.03 %
FFH.PR.H FloatingReset Quote: 17.70 – 18.45
Spot Rate : 0.7500
Average : 0.4990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 11.01 %
TD.PF.E FixedReset Disc Quote: 20.16 – 21.45
Spot Rate : 1.2900
Average : 1.0410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.37 %
Market Action

January 5, 2023

This rally seems to have legs – the TXPR price index was up another 0.48% today to 549.53, making a gain of 3.07% from the 533.17 close on 2023-12-27, the last day of tax-loss selling. Geez, if we annualize that …

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,095.8
Floater 11.40 % 11.58 % 45,470 8.44 2 0.0000 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.7061 % 3,396.4
SplitShare 4.96 % 7.40 % 52,055 2.01 7 0.7061 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7061 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6481 % 2,645.6
Perpetual-Discount 6.49 % 6.61 % 56,594 13.02 34 0.6481 % 2,884.9
FixedReset Disc 5.76 % 7.59 % 120,658 12.13 59 0.4557 % 2,275.2
Insurance Straight 6.40 % 6.53 % 76,117 13.18 20 0.5966 % 2,831.0
FloatingReset 10.50 % 10.64 % 36,080 9.08 5 1.1825 % 2,559.7
FixedReset Prem 5.94 % 6.68 % 154,730 12.79 2 -0.9111 % 2,510.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4557 % 2,325.7
FixedReset Ins Non 5.58 % 7.15 % 86,317 12.63 14 0.2660 % 2,547.2
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.60 %
MIC.PR.A Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 7.47 %
BMO.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 6.46 %
SLF.PR.D Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.13 %
CU.PR.E Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 6.47 %
BMO.PR.S FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 7.10 %
CM.PR.P FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 7.59 %
BMO.PR.W FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.51 %
BMO.PR.T FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 7.36 %
CU.PR.G Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.53 %
BN.PF.G FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 8.91 %
GWO.PR.G Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.54 %
FFH.PR.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.63 %
SLF.PR.G FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 7.94 %
SLF.PR.C Insurance Straight 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.06 %
NA.PR.W FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.98 %
GWO.PR.I Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.38 %
RY.PR.Z FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.99 %
TD.PF.A FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 7.12 %
CU.PR.J Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.50 %
GWO.PR.S Insurance Straight 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.52 %
PVS.PR.H SplitShare 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 7.03 %
GWO.PR.H Insurance Straight 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.52 %
POW.PR.C Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.33 %
GWO.PR.M Insurance Straight 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 6.43 %
FTS.PR.K FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.59 %
FTS.PR.I FloatingReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 10.80 %
PWF.PR.K Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.60 %
PWF.PR.S Perpetual-Discount 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.57 %
MFC.PR.F FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 7.53 %
NA.PR.S FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.24 %
PVS.PR.K SplitShare 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.05 %
FTS.PR.G FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.72 %
BN.PR.Z FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 8.34 %
GWO.PR.T Insurance Straight 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.53 %
FFH.PR.H FloatingReset 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 10.63 %
BN.PF.B FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.I FixedReset Disc 140,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 23.10
Evaluated at bid price : 24.55
Bid-YTW : 6.48 %
BNS.PR.I FixedReset Prem 97,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.11 %
CM.PR.O FixedReset Disc 96,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 7.34 %
IFC.PR.C FixedReset Ins Non 93,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.52 %
TD.PF.B FixedReset Disc 88,032 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 7.03 %
BN.PF.F FixedReset Disc 82,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.64 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Disc Quote: 21.75 – 24.50
Spot Rate : 2.7500
Average : 1.5559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.74 %
BN.PR.N Perpetual-Discount Quote: 17.25 – 18.29
Spot Rate : 1.0400
Average : 0.6168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.95 %
POW.PR.B Perpetual-Discount Quote: 20.28 – 21.50
Spot Rate : 1.2200
Average : 0.8209

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.64 %
MFC.PR.M FixedReset Ins Non Quote: 18.52 – 19.52
Spot Rate : 1.0000
Average : 0.6460

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 7.56 %
PWF.PR.K Perpetual-Discount Quote: 19.15 – 19.97
Spot Rate : 0.8200
Average : 0.5380

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.60 %
IFC.PR.E Insurance Straight Quote: 19.87 – 20.70
Spot Rate : 0.8300
Average : 0.5757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.60 %
Market Action

January 4, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2708 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2708 % 4,095.8
Floater 11.40 % 11.58 % 45,785 8.45 2 -0.2708 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1580 % 3,372.6
SplitShare 4.99 % 7.71 % 51,420 2.01 7 -0.1580 % 4,027.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1580 % 3,142.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7408 % 2,628.6
Perpetual-Discount 6.53 % 6.66 % 56,737 12.97 34 0.7408 % 2,866.3
FixedReset Disc 5.79 % 7.65 % 120,998 12.04 59 0.4194 % 2,264.9
Insurance Straight 6.44 % 6.58 % 77,107 13.11 20 0.4071 % 2,814.2
FloatingReset 10.62 % 10.91 % 35,733 8.89 5 0.2936 % 2,529.8
FixedReset Prem 5.88 % 6.67 % 153,656 12.60 2 0.3378 % 2,533.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4194 % 2,315.2
FixedReset Ins Non 5.59 % 7.15 % 86,955 12.54 14 0.5963 % 2,540.4
Performance Highlights
Issue Index Change Notes
NA.PR.W FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.10 %
IFC.PR.F Insurance Straight -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.87 %
SLF.PR.D Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 6.19 %
PVS.PR.H SplitShare -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.63 %
SLF.PR.E Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.20 %
SLF.PR.C Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.15 %
CU.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 6.61 %
PVS.PR.K SplitShare -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.78
Bid-YTW : 7.51 %
IFC.PR.K Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.62 %
FFH.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 8.05 %
CM.PR.P FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.67 %
PVS.PR.G SplitShare 1.06 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 7.38 %
PWF.PR.E Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 6.72 %
GWO.PR.P Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.58 %
GWO.PR.N FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 7.91 %
BN.PR.T FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 8.97 %
BIP.PR.B FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 8.68 %
FTS.PR.K FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 7.74 %
BIP.PR.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 7.95 %
TD.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.24 %
IFC.PR.C FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.57 %
BN.PR.N Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.93 %
CU.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.71 %
CU.PR.E Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.54 %
TD.PF.D FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.48 %
RY.PR.Z FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.10 %
MFC.PR.L FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.16 %
POW.PR.A Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.63 %
RY.PR.N Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.47
Evaluated at bid price : 21.77
Bid-YTW : 5.69 %
FTS.PR.I FloatingReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 11.00 %
CU.PR.D Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.55 %
BIK.PR.A FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.67
Evaluated at bid price : 22.05
Bid-YTW : 8.29 %
POW.PR.D Perpetual-Discount 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 6.56 %
MIC.PR.A Perpetual-Discount 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.39 %
MFC.PR.J FixedReset Ins Non 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 22.44
Evaluated at bid price : 23.20
Bid-YTW : 6.46 %
CCS.PR.C Insurance Straight 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.64 %
BIP.PR.A FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 9.52 %
BMO.PR.W FixedReset Disc 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.59 %
IFC.PR.E Insurance Straight 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.49 %
IFC.PR.I Insurance Straight 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 109,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.24 %
BNS.PR.I FixedReset Prem 84,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.29 %
MFC.PR.I FixedReset Ins Non 59,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 22.11
Evaluated at bid price : 22.59
Bid-YTW : 6.81 %
TD.PF.B FixedReset Disc 52,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.03 %
CU.PR.C FixedReset Disc 51,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.71 %
CU.PR.I FixedReset Disc 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 7.77 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 14.14 – 19.38
Spot Rate : 5.2400
Average : 3.6831

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 7.67 %
CU.PR.F Perpetual-Discount Quote: 17.27 – 20.00
Spot Rate : 2.7300
Average : 2.2483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.61 %
TD.PF.D FixedReset Disc Quote: 19.60 – 20.90
Spot Rate : 1.3000
Average : 0.8350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.48 %
NA.PR.W FixedReset Disc Quote: 17.00 – 18.11
Spot Rate : 1.1100
Average : 0.7019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.10 %
TD.PF.E FixedReset Disc Quote: 19.52 – 20.50
Spot Rate : 0.9800
Average : 0.6998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 7.54 %
PVS.PR.H SplitShare Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.6345

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.63 %
Market Action

January 3, 2024

TXPR closed at 544.96, up 0.64% on the day. Volume today was 1.26-million, third-lowest of the past 21 trading days.

CPD closed at 10.84, up 0.84% on the day. Volume was 119,330, slightly below the median of the past 21 trading days.

ZPR closed at 9.17, up 0.66% on the day. Volume was 54,700, lowest of the past 21 trading days.

Five-year Canada yields were up to 3.28%.

The pundits have a pat answer for today’s action in major markets:

U.S. and Canadian stock indexes ended the second session of the year down again in extended profit-taking on Wednesday after a strong finish to 2023, with minutes from the Federal Reserve’s December meeting failing to shake off the funk hanging over markets.

It was the first time the benchmark S&P 500 index has started the year with two straight declines since it kicked off 2015 with a three-session skid. It is also its worst two-day performance, on a percentage basis, since late-October.

The decline contrasts with the blistering run for all three major Wall Street benchmarks in the final two months of the year. The S&P 500 came within striking distance of its all-time closing high last week as signs of cooling inflation spurred investors to bet on an aggressive rate-cutting schedule.
…
As of Wednesday, implied probabilities in interest rate swaps markets suggest the Bank of Canada will start cutting interest rates in April, with 125 basis points of cuts priced in by the end of this year.

Definitely, “profit taking” is my favourite rationale for market movement!

PerpetualDiscounts now yield 6.72%, equivalent to 8.74% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.72% on 2023-12-15 and since then the closing price has changed from 15.88 to 15.33, a decline of 346bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.60 implying an increase of 27bp in yield to 4.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 374bp from the 430bp reported December 27.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4989 % 2,141.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4989 % 4,106.9
Floater 11.37 % 11.51 % 53,146 8.49 2 0.4989 % 2,366.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1153 % 3,377.9
SplitShare 4.98 % 7.80 % 51,172 2.01 7 -0.1153 % 4,034.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1153 % 3,147.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.8972 % 2,609.3
Perpetual-Discount 6.58 % 6.72 % 57,673 12.90 34 0.8972 % 2,845.3
FixedReset Disc 5.82 % 7.73 % 115,882 12.00 59 0.3818 % 2,255.4
Insurance Straight 6.46 % 6.63 % 76,163 13.05 20 0.6630 % 2,802.8
FloatingReset 10.65 % 10.87 % 37,177 8.92 5 0.3299 % 2,522.4
FixedReset Prem 5.90 % 6.72 % 158,677 12.55 2 -0.6711 % 2,525.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3818 % 2,305.5
FixedReset Ins Non 5.63 % 7.17 % 80,448 12.54 14 0.5612 % 2,525.3
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 7.82 %
IFC.PR.I Insurance Straight -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.73 %
PVS.PR.J SplitShare -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.80 %
BN.PF.G FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 8.96 %
RY.PR.N Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.81 %
BN.PF.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 8.62 %
CM.PR.P FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 7.75 %
NA.PR.C FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 23.40
Evaluated at bid price : 25.41
Bid-YTW : 6.72 %
BN.PR.Z FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.57 %
BN.PR.B Floater 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 11.51 %
BN.PR.N Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.02 %
SLF.PR.E Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 6.12 %
GWO.PR.H Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.63 %
FFH.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.56
Evaluated at bid price : 21.93
Bid-YTW : 8.13 %
BN.PR.R FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 9.13 %
POW.PR.G Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 6.76 %
FFH.PR.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 15.77
Evaluated at bid price : 15.77
Bid-YTW : 8.76 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.74 %
FFH.PR.F FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 10.91 %
CM.PR.O FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 7.46 %
CU.PR.G Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.53 %
PWF.PR.E Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.79 %
GWO.PR.L Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.63 %
SLF.PR.D Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.10 %
POW.PR.A Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.74 %
FTS.PR.I FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 11.19 %
SLF.PR.H FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 6.98 %
PVS.PR.K SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 7.28 %
POW.PR.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.70 %
PWF.PR.F Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.77 %
MFC.PR.L FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 7.28 %
BN.PR.X FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 8.53 %
PWF.PR.L Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.75 %
BN.PF.F FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.69 %
PWF.PF.A Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.68 %
BN.PF.C Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.07 %
POW.PR.C Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.44 %
IFC.PR.F Insurance Straight 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.74 %
BN.PF.D Perpetual-Discount 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.11 %
MFC.PR.F FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 7.61 %
FFH.PR.K FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 8.44 %
CU.PR.I FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 7.85 %
BN.PR.M Perpetual-Discount 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.95 %
PWF.PR.Z Perpetual-Discount 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.73 %
PWF.PR.P FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 8.43 %
BN.PF.I FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.69 %
CU.PR.H Perpetual-Discount 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.60 %
GWO.PR.M Insurance Straight 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.50 %
CCS.PR.C Insurance Straight 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Prem 56,809 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.19 %
RY.PR.Z FixedReset Disc 41,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.21 %
BN.PF.G FixedReset Disc 34,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 8.96 %
MFC.PR.K FixedReset Ins Non 25,635 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 6.46 %
GWO.PR.N FixedReset Ins Non 21,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 7.99 %
SLF.PR.H FixedReset Ins Non 20,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 6.98 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 17.27 – 20.00
Spot Rate : 2.7300
Average : 1.7201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.61 %
BN.PR.Z FixedReset Disc Quote: 18.28 – 19.55
Spot Rate : 1.2700
Average : 0.7859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.57 %
POW.PR.B Perpetual-Discount Quote: 20.02 – 21.02
Spot Rate : 1.0000
Average : 0.5841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.72 %
BIK.PR.A FixedReset Disc Quote: 21.62 – 22.50
Spot Rate : 0.8800
Average : 0.5334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.35
Evaluated at bid price : 21.62
Bid-YTW : 8.46 %
GWO.PR.I Insurance Straight Quote: 17.45 – 18.25
Spot Rate : 0.8000
Average : 0.4810

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.50 %
BN.PF.F FixedReset Disc Quote: 17.60 – 19.00
Spot Rate : 1.4000
Average : 1.1232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.69 %
Market Action

January 2, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3615 % 2,130.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3615 % 4,086.5
Floater 11.43 % 11.57 % 44,972 8.45 2 -0.3615 % 2,355.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1094 % 3,381.8
SplitShare 4.98 % 7.76 % 53,179 2.01 7 0.1094 % 4,038.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1094 % 3,151.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9069 % 2,586.1
Perpetual-Discount 6.64 % 6.79 % 57,910 12.81 34 0.9069 % 2,820.0
FixedReset Disc 5.84 % 7.66 % 117,624 12.02 59 0.5918 % 2,246.9
Insurance Straight 6.51 % 6.68 % 76,680 12.99 20 0.6304 % 2,784.3
FloatingReset 10.69 % 10.87 % 36,444 8.93 5 0.8076 % 2,514.1
FixedReset Prem 5.86 % 6.47 % 164,650 3.34 2 -0.0789 % 2,542.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5918 % 2,296.8
FixedReset Ins Non 5.66 % 7.21 % 83,294 12.50 14 0.4014 % 2,511.3
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.05 %
CU.PR.H Perpetual-Discount -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 6.77 %
IFC.PR.F Insurance Straight -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.86 %
BIP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 9.85 %
BN.PF.I FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.91 %
PWF.PR.P FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 8.63 %
PVS.PR.G SplitShare -1.05 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 7.89 %
BNS.PR.I FixedReset Prem -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.10 %
PWF.PR.T FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.29 %
FFH.PR.H FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 10.87 %
CU.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 7.64 %
MFC.PR.C Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.21 %
RY.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.94
Evaluated at bid price : 22.45
Bid-YTW : 6.37 %
BN.PR.N Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.09 %
CM.PR.O FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.54 %
BN.PF.C Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.20 %
BMO.PR.E FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 22.99
Evaluated at bid price : 24.50
Bid-YTW : 6.38 %
BN.PF.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 8.79 %
GWO.PR.I Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.48 %
SLF.PR.D Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 6.17 %
POW.PR.G Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.84 %
FFH.PR.G FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 8.85 %
PWF.PR.E Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.87 %
BN.PR.Z FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 8.46 %
SLF.PR.E Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.18 %
POW.PR.B Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.78 %
IFC.PR.C FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 7.61 %
CU.PR.J Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.70 %
NA.PR.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.56
Evaluated at bid price : 21.85
Bid-YTW : 6.80 %
PWF.PR.O Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.80 %
GWO.PR.Q Insurance Straight 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 6.68 %
GWO.PR.T Insurance Straight 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.69 %
CIU.PR.A Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 6.70 %
BN.PF.F FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 8.83 %
SLF.PR.C Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.09 %
POW.PR.D Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.78 %
PWF.PF.A Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 6.80 %
TD.PF.C FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.57 %
TD.PF.E FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.55 %
PWF.PR.R Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.83 %
TD.PF.D FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.61 %
PWF.PR.K Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.79 %
PWF.PR.G Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 22.11
Evaluated at bid price : 22.39
Bid-YTW : 6.72 %
PVS.PR.J SplitShare 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.24 %
MFC.PR.B Insurance Straight 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.18 %
FFH.PR.F FloatingReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 11.03 %
TD.PF.B FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.10 %
GWO.PR.Y Insurance Straight 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.48 %
RY.PR.H FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.49 %
PWF.PR.H Perpetual-Discount 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.79 %
CM.PR.P FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 7.64 %
BMO.PR.S FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.23 %
FFH.PR.K FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.60 %
CU.PR.E Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.65 %
TD.PF.A FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 7.34 %
SLF.PR.H FixedReset Ins Non 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.06 %
IFC.PR.I Insurance Straight 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.58 %
BMO.PR.T FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 68,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.49 %
BMO.PR.S FixedReset Disc 58,065 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.23 %
IFC.PR.C FixedReset Ins Non 55,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 7.61 %
CM.PR.T FixedReset Disc 51,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 23.36
Evaluated at bid price : 24.25
Bid-YTW : 6.74 %
BNS.PR.I FixedReset Prem 49,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.10 %
SLF.PR.H FixedReset Ins Non 46,304 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.06 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 22.28 – 23.46
Spot Rate : 1.1800
Average : 0.6874

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.86
Evaluated at bid price : 22.28
Bid-YTW : 6.63 %
TD.PF.J FixedReset Disc Quote: 22.40 – 23.72
Spot Rate : 1.3200
Average : 1.0101

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.95
Evaluated at bid price : 22.40
Bid-YTW : 6.72 %
BMO.PR.W FixedReset Disc Quote: 17.50 – 18.50
Spot Rate : 1.0000
Average : 0.7004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.85 %
BMO.PR.Y FixedReset Disc Quote: 18.70 – 19.70
Spot Rate : 1.0000
Average : 0.7111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.67 %
IFC.PR.F Insurance Straight Quote: 19.48 – 20.29
Spot Rate : 0.8100
Average : 0.5693

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.86 %
CCS.PR.C Insurance Straight Quote: 17.90 – 19.10
Spot Rate : 1.2000
Average : 0.9636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.05 %
Market Action

December 29, 2023

TXPR closed at 540.41, up 1.07% on the day. Volume today was 1.63-million, fourth-lowest of the past 21 trading days.

CPD closed at 10.76, up 0.66% on the day. Volume was 104,520, below the median of the past 21 trading days.

ZPR closed at 9.12, up 0.88% on the day. Volume was 71,900, second-lowest of the past 21 trading days.

Five-year Canada yields were down to 3.19%.

It was a valiant effort on the last trading day of the year, but the TXPR price index closed below the 2022-12-30 value of 544.36. Still, it’s well above the year’s low close on 2023-10-30 of 487.48, so that counts for something.

Not much else happened:

Canada’s main stock index ended higher on the final trading day of the year, wrapping 2023 with gains, powered by a boost in energy and financial stocks.

The Toronto Stock Exchange’s S&P/TSX composite index was up 29.06 points, or 0.14%, at 20,958.44, a third consecutive weekly gain.

Although battling inflationary winds, Canadian stocks snapped last year’s declines to climb 8% in the year, entering 2024 with fresh hopes of an interest rate cut by the Bank of Canada.
…
U.S. stocks closed modestly lower on the last trading day of 2023 and capped a robust year-end rally as investors eyed easier monetary policy in the year ahead.

Happy New Year, everybody!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0905 % 2,138.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0905 % 4,101.3
Floater 11.39 % 11.49 % 52,102 8.49 2 0.0905 % 2,363.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0529 % 3,378.1
SplitShare 4.97 % 7.44 % 53,267 1.73 8 0.0529 % 4,034.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0529 % 3,147.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6101 % 2,562.8
Perpetual-Discount 6.71 % 6.86 % 63,854 12.72 33 0.6101 % 2,794.6
FixedReset Disc 5.83 % 7.65 % 121,914 11.97 60 0.4879 % 2,233.6
Insurance Straight 6.54 % 6.70 % 79,216 12.97 19 0.7884 % 2,766.9
FloatingReset 10.62 % 10.83 % 38,947 8.94 3 0.4932 % 2,493.9
FixedReset Prem 6.88 % 6.62 % 165,907 12.66 1 0.4723 % 2,544.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4879 % 2,283.2
FixedReset Ins Non 5.68 % 7.15 % 86,630 12.50 14 0.0425 % 2,501.2
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.00 %
MFC.PR.M FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 7.53 %
MFC.PR.L FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.23 %
TD.PF.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.58 %
GWO.PR.T Insurance Straight 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 6.78 %
RY.PR.J FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 7.62 %
BN.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 9.04 %
PWF.PR.L Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.91 %
BNS.PR.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -1.73 %
TD.PF.J FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 21.94
Evaluated at bid price : 22.40
Bid-YTW : 6.66 %
FTS.PR.J Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.45 %
CU.PR.F Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.61 %
GWO.PR.G Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 6.73 %
CU.PR.D Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.72 %
NA.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 7.47 %
BN.PF.B FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 8.41 %
GWO.PR.R Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.70 %
PWF.PR.P FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 8.43 %
BN.PF.I FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 8.72 %
IFC.PR.A FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.15 %
BN.PR.R FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 9.09 %
FTS.PR.F Perpetual-Discount 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.44 %
SLF.PR.C Insurance Straight 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 6.18 %
BN.PF.H FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 8.70 %
CU.PR.C FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 7.64 %
BN.PF.E FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 9.06 %
BIP.PR.A FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.57 %
CCS.PR.C Insurance Straight 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.72 %
RY.PR.N Perpetual-Discount 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 21.37
Evaluated at bid price : 21.67
Bid-YTW : 5.71 %
BN.PF.G FixedReset Disc 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Disc 249,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -1.73 %
RY.PR.M FixedReset Disc 52,429 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 7.65 %
BN.PF.E FixedReset Disc 30,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 9.06 %
TD.PF.E FixedReset Disc 23,302 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.58 %
CM.PR.O FixedReset Disc 15,996 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.53 %
BN.PF.G FixedReset Disc 13,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.78 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 13.98 – 23.80
Spot Rate : 9.8200
Average : 5.8655

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 13.98
Evaluated at bid price : 13.98
Bid-YTW : 7.65 %
BN.PF.E FixedReset Disc Quote: 15.49 – 19.50
Spot Rate : 4.0100
Average : 2.2406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 9.06 %
GWO.PR.P Insurance Straight Quote: 20.20 – 21.45
Spot Rate : 1.2500
Average : 0.8163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.74 %
NA.PR.E FixedReset Disc Quote: 21.57 – 22.30
Spot Rate : 0.7300
Average : 0.4288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 21.29
Evaluated at bid price : 21.57
Bid-YTW : 6.83 %
PWF.PR.O Perpetual-Discount Quote: 21.46 – 22.90
Spot Rate : 1.4400
Average : 1.1406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 6.90 %
BN.PF.F FixedReset Disc Quote: 17.06 – 18.20
Spot Rate : 1.1400
Average : 0.8523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 8.84 %